A COMPARISON OF QUASI MONTE CARLO METHODS BASED ON FAURE AND SOBOL SEQUENCES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS
A COMPARISON OF QUASI MONTE CARLO METHODS BASED ON FAURE AND SOBOL SEQUENCES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS
DOI:
https://doi.org/10.46687/jsar.v12i1.222Keywords:
Quasi-Monte Carlo algorithms, multidimensional integrals, Faure sequence, Sobol sequence, Crude Monte Carlo algorithm, applicationsAbstract
In this paper we implement and analyze the performance of Faure quasi-random sequence. We compare the results with the Sobol quasi-random sequence which is the most widely used quasi-Monte Carlo method. Also some experiments between Faure sequence and the plain (Crude) Monte Carlo method are given. We consider a case study with a non-smooth integrand function. We show that the Sobol sequence has some adv antageous over the Faure sequence.
Author Biographies
Venelin Todorov, Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG
Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG
https://orcid.org/0000-0001-7134-5901Valeri Dzurov, ROUSSE UNIVERSITY ”ANGEL KANCHEV”
ROUSSE UNIVERSITY ”ANGEL KANCHEV”
Valentin Dimitrov, ROUSSE UNIVERSITY â€ANGEL KANCHEVâ€
ROUSSE UNIVERSITY â€ANGEL KANCHEVâ€
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Published
19.03.2023
How to Cite
Todorov, V. ., Dzurov, V. ., & Dimitrov, V. (2023). A COMPARISON OF QUASI MONTE CARLO METHODS BASED ON FAURE AND SOBOL SEQUENCES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS: A COMPARISON OF QUASI MONTE CARLO METHODS BASED ON FAURE AND SOBOL SEQUENCES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS. JOURNAL SCIENTIFIC AND APPLIED RESEARCH, 12(1), 11–17. https://doi.org/10.46687/jsar.v12i1.222
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Technical Sciences
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